Assume that we have the following return data on 2 diversified Japanese equity mutual funds Assume the riskless return in Japan was 1 and the Nikkei 225 return was 6 over the relevant period Fund A Fund B Realized return ( ) 8 0 12 0 Standard deviation of return ( ) 20 35 Beta 8 1 2 Which of fund A or B is better according to a (Jensens alpha) (I e , which fund had the higher abnormal return ) So that B was the better performer Which of fund A or B is better according to the Sharpe ratio So that A was the slightly better performer

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Question: Assume that we have the following return data on 2 diversified Japanese equity mutual funds. Assume the riskless return in Japan was 1% and the

Assume that we have the following return data on 2 diversified Japanese equity mutual funds. Assume the riskless return in Japan was 1% and the Nikkei 225 return was 6% over the relevant period.

	Fund A	Fund B
Realized return (%)	8.0	12.0
Standard deviation of return (%)	20	35
Beta	.8	1.2

Which of fund A or B is better according to a (Jensens alpha)? (I.e., which fund had the higher abnormal return?) So that B was the better performer.

Which of fund A or B is better according to the Sharpe ratio? So that A was the slightly better performer.

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